in tum-of-the-month, tum-of-the-year and intra-trading days. For example,
Pettengill and Jordan (1988) reported, by testing four daily returns around the turns
of the month in the period from 1962 to 1983, that the tum-of-the-month effects
are equally strong for small and large firms. Ariel (1987) examined the returns for
the first half-month (starting with the last day of the prior month) and latter half-
month in the period from 1963 to 1987. He was surprised that all of the return for
the period occurs in the first part of the month. Cadsby and Rater (1992) defined
the turn ...
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